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refactor: Optimized for incremental calculation

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Toh4iem9
2025-12-01 18:51:58 +01:00
parent 345d5a046d
commit f9f067ce94
1 changed files with 136 additions and 100 deletions
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Include/MyIncludes/MACD_Calculator.mqh
+136 -100
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@@ -1,6 +1,6 @@
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| MACD_Calculator.mqh| //| MACD_Calculator.mqh|
//| Calculation engine for Standard and Heikin Ashi MACD. | //| VERSION 1.20: Optimized for incremental calculation. |
//| Copyright 2025, xxxxxxxx | //| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx" #property copyright "Copyright 2025, xxxxxxxx"
@@ -8,31 +8,35 @@
#include <MyIncludes\HeikinAshi_Tools.mqh> #include <MyIncludes\HeikinAshi_Tools.mqh>
//+==================================================================+ //+==================================================================+
//| |
//| CLASS 1: CMACDCalculator (Base Class) | //| CLASS 1: CMACDCalculator (Base Class) |
//| |
//+==================================================================+ //+==================================================================+
class CMACDCalculator class CMACDCalculator
{ {
protected: protected:
int m_fast_period, m_slow_period, m_signal_period; int m_fast_period, m_slow_period, m_signal_period;
ENUM_MA_METHOD m_source_ma_type, m_signal_ma_type; ENUM_MA_METHOD m_source_ma_type, m_signal_ma_type;
double m_price[];
//--- Virtual method for preparing the price series. //--- Persistent Buffers for Incremental Calculation
virtual bool PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type); double m_price[];
double m_fast_ma[];
double m_slow_ma[];
//--- Updated: Accepts start_index
virtual bool PreparePriceSeries(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type);
public: public:
CMACDCalculator(void) {}; CMACDCalculator(void) {};
virtual ~CMACDCalculator(void) {}; virtual ~CMACDCalculator(void) {};
bool Init(int fast_p, int slow_p, int signal_p, ENUM_MA_METHOD src_ma, ENUM_MA_METHOD sig_ma); bool Init(int fast_p, int slow_p, int signal_p, ENUM_MA_METHOD src_ma, ENUM_MA_METHOD sig_ma);
void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
//--- Updated: Accepts prev_calculated
void Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
double &macd_line[], double &signal_line[], double &histogram[]); double &macd_line[], double &signal_line[], double &histogram[]);
}; };
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| CMACDCalculator: Initialization | //| Init |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CMACDCalculator::Init(int fast_p, int slow_p, int signal_p, ENUM_MA_METHOD src_ma, ENUM_MA_METHOD sig_ma) bool CMACDCalculator::Init(int fast_p, int slow_p, int signal_p, ENUM_MA_METHOD src_ma, ENUM_MA_METHOD sig_ma)
{ {
@@ -51,24 +55,38 @@ bool CMACDCalculator::Init(int fast_p, int slow_p, int signal_p, ENUM_MA_METHOD
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| CMACDCalculator: Main Calculation Method (CORRECTED LOGIC) | //| Main Calculation (Optimized) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
void CMACDCalculator::Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type, void CMACDCalculator::Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
double &macd_line[], double &signal_line[], double &histogram[]) double &macd_line[], double &signal_line[], double &histogram[])
{ {
int start_pos = m_slow_period + m_signal_period - 2; int start_pos = m_slow_period + m_signal_period - 2;
if(rates_total <= start_pos) if(rates_total <= start_pos)
return; return;
if(!PreparePriceSeries(rates_total, open, high, low, close, price_type)) //--- 1. Determine Start Index
int start_index;
if(prev_calculated == 0)
start_index = 0;
else
start_index = prev_calculated - 1;
//--- 2. Resize Buffers
if(ArraySize(m_price) != rates_total)
{
ArrayResize(m_price, rates_total);
ArrayResize(m_fast_ma, rates_total);
ArrayResize(m_slow_ma, rates_total);
}
//--- 3. Prepare Price (Optimized)
if(!PreparePriceSeries(rates_total, start_index, open, high, low, close, price_type))
return; return;
double fast_ma[], slow_ma[]; //--- 4. Calculate Fast MA (Incremental)
ArrayResize(fast_ma, rates_total); int loop_start_fast = MathMax(m_fast_period - 1, start_index);
ArrayResize(slow_ma, rates_total);
//--- STEP 1: Calculate Fast MA for(int i = loop_start_fast; i < rates_total; i++)
for(int i = m_fast_period - 1; i < rates_total; i++)
{ {
switch(m_source_ma_type) switch(m_source_ma_type)
{ {
@@ -79,30 +97,32 @@ void CMACDCalculator::Calculate(int rates_total, const double &open[], const dou
double sum=0; double sum=0;
for(int j=0; j<m_fast_period; j++) for(int j=0; j<m_fast_period; j++)
sum+=m_price[i-j]; sum+=m_price[i-j];
fast_ma[i]=sum/m_fast_period; m_fast_ma[i]=sum/m_fast_period;
} }
else else
{ {
if(m_source_ma_type==MODE_EMA) if(m_source_ma_type==MODE_EMA)
{ {
double pr=2.0/(m_fast_period+1.0); double pr=2.0/(m_fast_period+1.0);
fast_ma[i]=m_price[i]*pr+fast_ma[i-1]*(1.0-pr); m_fast_ma[i]=m_price[i]*pr+m_fast_ma[i-1]*(1.0-pr);
} }
else else
fast_ma[i]=(fast_ma[i-1]*(m_fast_period-1)+m_price[i])/m_fast_period; m_fast_ma[i]=(m_fast_ma[i-1]*(m_fast_period-1)+m_price[i])/m_fast_period;
} }
break; break;
case MODE_LWMA: case MODE_LWMA:
{double sum=0,w_sum=0; for(int j=0; j<m_fast_period; j++) {int w=m_fast_period-j; sum+=m_price[i-j]*w; w_sum+=w;} if(w_sum>0) fast_ma[i]=sum/w_sum;} {double sum=0,w_sum=0; for(int j=0; j<m_fast_period; j++) {int w=m_fast_period-j; sum+=m_price[i-j]*w; w_sum+=w;} if(w_sum>0) m_fast_ma[i]=sum/w_sum;}
break; break;
default: default:
{double sum=0; for(int j=0; j<m_fast_period; j++) sum+=m_price[i-j]; fast_ma[i]=sum/m_fast_period;} {double sum=0; for(int j=0; j<m_fast_period; j++) sum+=m_price[i-j]; m_fast_ma[i]=sum/m_fast_period;}
break; break;
} }
} }
//--- STEP 2: Calculate Slow MA //--- 5. Calculate Slow MA (Incremental)
for(int i = m_slow_period - 1; i < rates_total; i++) int loop_start_slow = MathMax(m_slow_period - 1, start_index);
for(int i = loop_start_slow; i < rates_total; i++)
{ {
switch(m_source_ma_type) switch(m_source_ma_type)
{ {
@@ -113,37 +133,41 @@ void CMACDCalculator::Calculate(int rates_total, const double &open[], const dou
double sum=0; double sum=0;
for(int j=0; j<m_slow_period; j++) for(int j=0; j<m_slow_period; j++)
sum+=m_price[i-j]; sum+=m_price[i-j];
slow_ma[i]=sum/m_slow_period; m_slow_ma[i]=sum/m_slow_period;
} }
else else
{ {
if(m_source_ma_type==MODE_EMA) if(m_source_ma_type==MODE_EMA)
{ {
double pr=2.0/(m_slow_period+1.0); double pr=2.0/(m_slow_period+1.0);
slow_ma[i]=m_price[i]*pr+slow_ma[i-1]*(1.0-pr); m_slow_ma[i]=m_price[i]*pr+m_slow_ma[i-1]*(1.0-pr);
} }
else else
slow_ma[i]=(slow_ma[i-1]*(m_slow_period-1)+m_price[i])/m_slow_period; m_slow_ma[i]=(m_slow_ma[i-1]*(m_slow_period-1)+m_price[i])/m_slow_period;
} }
break; break;
case MODE_LWMA: case MODE_LWMA:
{double sum=0,w_sum=0; for(int j=0; j<m_slow_period; j++) {int w=m_slow_period-j; sum+=m_price[i-j]*w; w_sum+=w;} if(w_sum>0) slow_ma[i]=sum/w_sum;} {double sum=0,w_sum=0; for(int j=0; j<m_slow_period; j++) {int w=m_slow_period-j; sum+=m_price[i-j]*w; w_sum+=w;} if(w_sum>0) m_slow_ma[i]=sum/w_sum;}
break; break;
default: default:
{double sum=0; for(int j=0; j<m_slow_period; j++) sum+=m_price[i-j]; slow_ma[i]=sum/m_slow_period;} {double sum=0; for(int j=0; j<m_slow_period; j++) sum+=m_price[i-j]; m_slow_ma[i]=sum/m_slow_period;}
break; break;
} }
} }
//--- STEP 3: Calculate MACD Line //--- 6. Calculate MACD Line
for(int i = m_slow_period - 1; i < rates_total; i++) int loop_start_macd = MathMax(loop_start_slow, loop_start_fast); // Should be slow
for(int i = loop_start_macd; i < rates_total; i++)
{ {
macd_line[i] = fast_ma[i] - slow_ma[i]; macd_line[i] = m_fast_ma[i] - m_slow_ma[i];
} }
//--- STEP 4: Calculate Signal Line //--- 7. Calculate Signal Line (Incremental)
int signal_start_pos = m_slow_period + m_signal_period - 2; int signal_start_pos = m_slow_period + m_signal_period - 2;
for(int i = signal_start_pos; i < rates_total; i++) int loop_start_signal = MathMax(signal_start_pos, start_index);
for(int i = loop_start_signal; i < rates_total; i++)
{ {
switch(m_signal_ma_type) switch(m_signal_ma_type)
{ {
@@ -176,103 +200,115 @@ void CMACDCalculator::Calculate(int rates_total, const double &open[], const dou
} }
} }
//--- STEP 5: Calculate Histogram //--- 8. Calculate Histogram
for(int i = signal_start_pos; i < rates_total; i++) for(int i = loop_start_signal; i < rates_total; i++)
{ {
histogram[i] = macd_line[i] - signal_line[i]; histogram[i] = macd_line[i] - signal_line[i];
} }
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| CMACDCalculator: Prepares the standard source price series. | //| Prepare Price (Standard - Optimized) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CMACDCalculator::PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type) bool CMACDCalculator::PreparePriceSeries(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type)
{ {
ArrayResize(m_price, rates_total); // Optimized copy loop
switch(price_type) for(int i = start_index; i < rates_total; i++)
{ {
case PRICE_OPEN: switch(price_type)
ArrayCopy(m_price, open, 0, 0, rates_total); {
break; case PRICE_CLOSE:
case PRICE_HIGH: m_price[i] = close[i];
ArrayCopy(m_price, high, 0, 0, rates_total); break;
break; case PRICE_OPEN:
case PRICE_LOW: m_price[i] = open[i];
ArrayCopy(m_price, low, 0, 0, rates_total); break;
break; case PRICE_HIGH:
case PRICE_MEDIAN: m_price[i] = high[i];
for(int i=0; i<rates_total; i++) break;
case PRICE_LOW:
m_price[i] = low[i];
break;
case PRICE_MEDIAN:
m_price[i] = (high[i]+low[i])/2.0; m_price[i] = (high[i]+low[i])/2.0;
break; break;
case PRICE_TYPICAL: case PRICE_TYPICAL:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i]+close[i])/3.0; m_price[i] = (high[i]+low[i]+close[i])/3.0;
break; break;
case PRICE_WEIGHTED: case PRICE_WEIGHTED:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i]+2*close[i])/4.0; m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
break; break;
default: default:
ArrayCopy(m_price, close, 0, 0, rates_total); m_price[i] = close[i];
break; break;
}
} }
return true; return true;
} }
//+==================================================================+ //+==================================================================+
//| | //| CLASS 2: CMACDCalculator_HA (Heikin Ashi) |
//| CLASS 2: CMACDCalculator_HA (Heikin Ashi) |
//| |
//+==================================================================+ //+==================================================================+
class CMACDCalculator_HA : public CMACDCalculator class CMACDCalculator_HA : public CMACDCalculator
{ {
private: private:
CHeikinAshi_Calculator m_ha_calculator; CHeikinAshi_Calculator m_ha_calculator;
// Internal HA buffers
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
protected: protected:
virtual bool PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type) override; virtual bool PreparePriceSeries(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type) override;
}; };
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| CMACDCalculator_HA: Prepares the Heikin Ashi source price. | //| Prepare Price (Heikin Ashi - Optimized) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CMACDCalculator_HA::PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type) bool CMACDCalculator_HA::PreparePriceSeries(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type)
{ {
double ha_open[], ha_high[], ha_low[], ha_close[]; // Resize internal HA buffers
ArrayResize(ha_open, rates_total); if(ArraySize(m_ha_open) != rates_total)
ArrayResize(ha_high, rates_total);
ArrayResize(ha_low, rates_total);
ArrayResize(ha_close, rates_total);
m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
ArrayResize(m_price, rates_total);
switch(price_type)
{ {
case PRICE_OPEN: ArrayResize(m_ha_open, rates_total);
ArrayCopy(m_price, ha_open, 0, 0, rates_total); ArrayResize(m_ha_high, rates_total);
break; ArrayResize(m_ha_low, rates_total);
case PRICE_HIGH: ArrayResize(m_ha_close, rates_total);
ArrayCopy(m_price, ha_high, 0, 0, rates_total); }
break;
case PRICE_LOW: //--- STRICT CALL: Use the optimized 10-param HA calculation
ArrayCopy(m_price, ha_low, 0, 0, rates_total); m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
break; m_ha_open, m_ha_high, m_ha_low, m_ha_close);
case PRICE_MEDIAN:
for(int i=0; i<rates_total; i++) //--- Copy to m_price (Optimized loop)
m_price[i] = (ha_high[i]+ha_low[i])/2.0; for(int i = start_index; i < rates_total; i++)
break; {
case PRICE_TYPICAL: switch(price_type)
for(int i=0; i<rates_total; i++) {
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0; case PRICE_CLOSE:
break; m_price[i] = m_ha_close[i];
case PRICE_WEIGHTED: break;
for(int i=0; i<rates_total; i++) case PRICE_OPEN:
m_price[i] = (ha_high[i]+ha_low[i]+2*ha_close[i])/4.0; m_price[i] = m_ha_open[i];
break; break;
default: case PRICE_HIGH:
ArrayCopy(m_price, ha_close, 0, 0, rates_total); m_price[i] = m_ha_high[i];
break; break;
case PRICE_LOW:
m_price[i] = m_ha_low[i];
break;
case PRICE_MEDIAN:
m_price[i] = (m_ha_high[i]+m_ha_low[i])/2.0;
break;
case PRICE_TYPICAL:
m_price[i] = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0;
break;
case PRICE_WEIGHTED:
m_price[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0;
break;
default:
m_price[i] = m_ha_close[i];
break;
}
} }
return true; return true;
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//+------------------------------------------------------------------+